The key to pre-finishing is masking off surfaces that will have glue applied to them. Most modern adhesives will not stick to a finished surface, so it's key to keep these areas free of any film. 

I made sure to mask the whole dado surface in the legs with blue tape.    

I did a  dry assembly with the shelves in place to mark where the overlap would be. I did get a little sparse with the tape in one or two of the joints, but for the most part I had good coverage.

I built up 6 layers of finish on the shelves. I probably should have done more since they will have shoes on them, but I had a deadline and decisions had to be made.

You can see the difference between the finished and unfinished areas on the shelves. In this case, this also helps in lining up the shelf placement on the legs.

I only built up 4 coats on the legs.

The masked areas are a little more apparent on the walnut than you see on the maple.